Hansjörg Albrecher | Researchain

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Publication

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Archive | 2009

Advanced Financial Modelling

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

This book is a collection of state-of-the-art surveys on various topics in mathematical fi nance, with an emphasis on recent modelling and computational approaches.

Archive | 2009

Multilevel quasi-Monte Carlo path simulation

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

Optimal asset allocation in a stochastic factor model – an overview and open problems

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

Affine diffusion processes: theory and applications

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

Brownian semistationary processes and volatility/intermittency

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

A worst-case approach to continuous-time portfolio optimisation

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

Time consistency and information monotonicity of multiperiod acceptability functionals

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

Regularisation of inverse problems and its application to the calibration of option price models

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

Archive | 2009

From bounds on optimal growth towards a theory of good-deal hedging

Hansjörg Albrecher; Wolfgang J. Runggaldier; Walter Schachermayer

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Walter Schachermayer

University of Vienna

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Archive Network Publication Hotspot Collaboration

Network

Latest external collaboration on country level. Dive into details by clicking on the dots.

Hotspot

Dive into the research topics where Hansjörg Albrecher is active.

Publication

Featured researches published by Hansjörg Albrecher.

Advanced Financial Modelling

Multilevel quasi-Monte Carlo path simulation

Optimal asset allocation in a stochastic factor model – an overview and open problems

Affine diffusion processes: theory and applications

Brownian semistationary processes and volatility/intermittency

A worst-case approach to continuous-time portfolio optimisation

Time consistency and information monotonicity of multiperiod acceptability functionals

Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

Regularisation of inverse problems and its application to the calibration of option price models

From bounds on optimal growth towards a theory of good-deal hedging

Collaboration

Dive into the Hansjörg Albrecher's collaboration.